RBS plans 15-year range accrual notes tied to 30-, two-year CMS rates

By Susanna Moon

Chicago, Nov. 21 - Royal Bank of Scotland plc plans to price callable range accrual notes due Nov. 30, 2026 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a 424B5 filing with the Securities and Exchange Commission.

The coupon will be 7% for the first two years. After that, for each day that the 30-year CMS rate is greater than or equal to the two-year CMS rate it will accrue at 7% until Nov. 30, 2021, 8% until Nov. 30, 2024 and 10% after that until maturity. Interest will be payable quarterly.

The payout at maturity will be par.

The notes will be callable on any interest payment date after two years.

The notes will price on Nov. 23 and settle on Nov. 30.

The Cusip number is 78011PAA5.

Barclays Capital Inc. is the agent.

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